Published on 2/28/2018 in the Prospect News Structured Products Daily.
New Issue: Credit Suisse sells $6 million contingent coupon autocallables tied to three ETFs
By Marisa Wong
Morgantown, W.Va., Feb. 28 – Credit Suisse AG, London Branch priced $6 million of contingent coupon autocallable yield notes due Feb. 26, 2020 linked to the lesser performing of the iShares Nasdaq Biotechnology exchange-traded fund, the SPDR S&P Bank ETF and the VanEck Vectors Semiconductor ETF, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a quarterly contingent coupon at an annual rate of 15% if each fund closes at or above its coupon barrier, 70.75% of its initial level, on the related quarterly observation date.
The notes will be called at par if each fund closes at or above its initial level on any quarterly trigger observation date after six months.
The payout at maturity will be par unless any fund finishes below its 70.75% knock-in level, in which case investors will be fully exposed to any decline of the least-performing fund.
Credit Suisse Securities (USA) LLC is the agent.
| Issuer: | Credit Suisse AG, London Branch
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| Issue: | Contingent coupon autocallable yield notes
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| Underlying funds: | iShares Nasdaq Biotechnology ETF, SPDR S&P Bank ETF and the VanEck Vectors Semiconductor ETF
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| Amount: | $6 million
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| Maturity: | Feb. 26, 2020
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| Coupon: | 15% per year, payable each quarter that each fund closes at or above its coupon barrier on observation date that quarter
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| Price: | Par
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| Payout at maturity: | Par unless any fund finishes below its knock-in price, in which case full exposure to the decline of the least-performing fund
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| Call: | Automatically if each fund closes at or above its initial price any quarterly trigger observation date after six months
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| Initial prices: | $109.08 for biotech ETF, $50.55 for bank ETF, $103.69 for semiconductor ETF
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| Coupon barriers: | $77.1741 for biotech ETF, $35.764125 for bank ETF, $73.360675 for semiconductor ETF; 70.75% of initial prices
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| Knock-in prices: | $77.1741 for biotech ETF, $35.764125 for bank ETF, $73.360675 for semiconductor ETF; 70.75% of initial prices
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 26
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| Agent: | Credit Suisse Securities (USA) LLC
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| Fees: | 1.75%
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| Cusip: | 22550WEN3
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